Showing 1 - 10 of 170
This paper introduces a nonparametric test for the correct specification of a linear conditional quantile function over a continuum of quantile levels. These tests may be applied to assess the validity of post-estimation inferences regarding the effect of conditioning variables on the...
Persistent link: https://www.econbiz.de/10010730117
This paper discusses the solution of nonlinear integral equations with noisy integral kernels as they appear in nonparametric instrumental regression. We propose a regularized Newton-type iteration and establish convergence and convergence rate results. A particular emphasis is on instrumental...
Persistent link: https://www.econbiz.de/10010730122
I propose a nonparametric iid bootstrap that achieves asymptotic refinements for t tests and confidence intervals based on GMM estimators even when the model is misspecified. In addition, my bootstrap does not require recentering the moment function, which has been considered as critical for...
Persistent link: https://www.econbiz.de/10010730128
Separability is an important feature of structural equations, as it implies the absence of unobservable heterogeneity of effects and has significant implications for identification and efficiency of estimation. This paper provides a nonparametric test for separability in structural equations....
Persistent link: https://www.econbiz.de/10011052303
We study the scope of local indirect least squares (LILS) methods for nonparametrically estimating average marginal effects of an endogenous cause X on a response Y in triangular structural systems that need not exhibit linearity, separability, or monotonicity in scalar unobservables. One main...
Persistent link: https://www.econbiz.de/10010574084
We introduce a functional volatility process for modeling volatility trajectories for high frequency observations in financial markets and describe functional representations and data-based recovery of the process from repeated observations. A study of its asymptotic properties, as the frequency...
Persistent link: https://www.econbiz.de/10011052331
Suppose that the econometrician is interested in comparing two misspecified moment restriction models, where the comparison is performed in terms of some chosen measure of fit. This paper is concerned with describing an optimal test of the Vuong (1989) and Rivers and Vuong (2002) type null...
Persistent link: https://www.econbiz.de/10010594956
This paper studies the asymptotic relationship between Bayesian model averaging and post-selection frequentist predictors in both nested and nonnested models. We derive conditions under which their difference is of a smaller order of magnitude than the inverse of the square root of the sample...
Persistent link: https://www.econbiz.de/10010574071
The spatial autoregressive (SAR) model is a standard tool for analyzing data with spatial correlation. Conventional estimation methods rely on the key assumption that the spatial weight matrix is strictly exogenous, which would likely be violated in some empirical applications where spatial...
Persistent link: https://www.econbiz.de/10011117423
This paper develops consistency and asymptotic normality of parameter estimates for a higher-order spatial autoregressive model whose order, and number of regressors, are allowed to approach infinity slowly with sample size. Both least squares and instrumental variables estimates are examined,...
Persistent link: https://www.econbiz.de/10011209282